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Prokopczuk, Marcel


 SSRN Author Rank: 2,741 by Downloads
 

Leibniz University Hannover - Faculty of Economics and Management


 Koenigsworther Platz 1
 Hannover, 30167
 Germany
 email address
 

University of Reading - Henley Business School - ICMA Centre


 Whiteknights Park
 P.O. Box 242
 Reading RG6 6BA
 United Kingdom
 email address

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. Prokopczuk, Marcel's Scholarly Papers Click on the title of any column to sort the table by that column.
Aggregate Statistics
Total
Downloads
8,141
Total
Citations
25
Authors Date Downloads
 (Rank)
Citations
ACTIONS:    Email Selected Abstracts    Export Selected Bibliographic Info    VIEW: Selected      Original List     All Versions       All Abstracts       Legend
1.  
The Dynamics of Commodity Prices | Show Abstract | Download |
Quantitative Finance, Vol. 13, No. 4, 2013
Accepted Paper Series
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
23 May 11
Last Revised:
29 Dec 13
686
(20,326)
3

2.  
Investing in Commodity Futures Markets: Can Pricing Models Help? | Show Abstract | Download |
European Journal of Finance, Vol. 18, No. 1-2, 2012
Accepted Paper Series
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
27 Feb 09
Last Revised:
24 Apr 12
622
(23,318)
 

3.  
Integrating Multiple Commodities in a Model of Stochastic Price Dynamics | Show Abstract | Download |
Journal of Energy Markets, Vol. 2, No. 3, 2009
Accepted Paper Series
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 08
Last Revised:
24 Apr 12
608
(24,083)
4

4.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
04 Jan 13
Last Revised:
07 Apr 14
556
(27,251)
2

5.  
Seasonality and the Valuation of Commodity Options | Show Abstract | Download |
Journal of Banking and Finance, Vol. 37, No. 2, 2013
Accepted Paper Series
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
29 Nov 09
Last Revised:
02 Jan 13
540
(28,384)
4

6.  
Credit Risk in Covered Bonds | Show Abstract | Download |
Journal of Empirical Finance, Vol. 21, No. 1, 2013
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Siewert, Jan B.
Unversity of Mannheim – Center for Doctoral Studies in Business
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
04 Oct 10
Last Revised:
29 Dec 13
458
(35,223)
 

7.  
Commodity Futures Prices: More Evidence on Forecast Power, Risk Premia and the Theory of Storage | Show Abstract | Download |
Quarterly Review of Economics and Finance, Vol. 53, No. 1, 2013
Accepted Paper Series
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
25 Oct 11
Last Revised:
29 Dec 13
451
(35,878)
 

8.  
Pricing and Hedging in the Freight Futures Market | Show Abstract | Download |
Journal of Futures Markets, Vol. 31, No. 5, 2011
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
06 Mar 10
Last Revised:
26 Apr 12
402
(41,430)
2

9.  
Commodity Price Dynamics and Derivatives Valuation: A Review | Show Abstract | Download |
International Journal of Theoretical and Applied Finance, Vol. 16, No. 6, 2013
Accepted Paper Series
Back, Janis
WHU - Otto Beisheim School of Management
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Aug 12
Last Revised:
29 Dec 13
396
(42,212)
 

10.  
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
22 Jul 09
Last Revised:
26 Apr 12
381
(44,228)
2

11.  
The Importance of the Volatility Risk Premium for Volatility Forecasting | Show Abstract | Download |
Journal of Banking and Finance, Vol. 40, 2014
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
21 Mar 13
Last Revised:
15 Jun 14
372
(45,525)
 

12.  
Symeonidis, Lazaros
Accounting and Finance Division - University of Stirling
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Brooks, Chris
University of Reading - ICMA Centre
Lazar, Emese
University of Reading - ICMA Centre
Posted:
25 Oct 11
Last Revised:
02 Jan 13
349
(49,151)
3

13.  
American Option Valuation: Implied Calibration of GARCH Pricing-Models | Show Abstract | Download |
Journal of Futures Markets, Vol. 31, No. 10, 2011
Accepted Paper Series
Weber, Michael
University of Chicago - Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
09 Sep 09
Last Revised:
26 Apr 12
299
(59,067)
 

14.  
Bühler, Wolfgang
University of New South Wales, Australian Business School
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
24 May 10
290
(61,150)
 

15.  
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
11 Mar 10
Last Revised:
26 Jul 11
270
(66,268)
 

16.  
The Case of Negative Day-Ahead Electricity Prices | Show Abstract | Download |
Energy Economics, Vol. 35, No. 1, 2013
Accepted Paper Series
Fanone, Enzo
Energetic Source Spa - Renova Group
Gamba, Andrea
University of Warwick - Finance Group
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 May 11
Last Revised:
11 Mar 14
236
(76,455)
3

17.  
Alexander, Carol
University of Sussex - School of Business, Management and Economics
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Sumawong, Anannit
University of Sussex
Posted:
16 Jan 12
Last Revised:
29 Dec 13
182
(99,019)
 

18.  
Intra-Industry Contagion Effects of Earnings Surprises in the Banking Sector | Show Abstract | Download |
Applied Financial Economics, Vol. 20, No. 20, 2010
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
02 Feb 10
Last Revised:
26 Apr 12
165
(108,444)
1

19.  
Electricity Derivatives Pricing with Forward-Looking Information | Show Abstract | Download |
University of St.Gallen, School of Finance Research Paper No. 2013/17
Working Paper Series
Füss, Roland
University of St. Gallen
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
19 Feb 13
Last Revised:
20 Oct 13
149
(118,653)
 

20.  
Optimal Portfolio Choice in the Presence of Domestic Systemic Risk: Empirical Evidence from Stock Markets | Show Abstract | Download |
Decisions in Economics and Finance, Vol. 34, No. 2, pp. 141-168, 2011
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
10 Feb 11
Last Revised:
30 Jan 12
126
(136,420)
1

21.  
D'Acunto, Francesco
University of California, Berkeley
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Weber, Michael
University of Chicago - Finance
Posted:
16 Dec 13
Last Revised:
29 Sep 14
103
(158,406)
 

22.  
Brooks, Chris
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
02 Feb 14
84
(181,233)
 

23.  
Diewald, Laszlo
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
10 Aug 13
82
(184,020)
 

24.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wu, Yingying
Xi'an Jiaotong Liverpool University
Posted:
30 Dec 13
Last Revised:
03 Nov 14
80
(186,840)
 

25.  
Neumann, Maximilian
Technische Universität München (TUM)
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
02 Jul 14
62
(215,539)
 

26.  
Electricity Spot and Derivatives Pricing When Markets are Interconnected | Show Abstract | Download |
University of St.Gallen, School of Finance Research Paper No. 13/23
Working Paper Series
Füss, Roland
University of St. Gallen
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
13 Jan 14
Last Revised:
21 Feb 14
57
(224,856)
 

27.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Wese Simen, Chardin
University of Liverpool
Posted:
14 Jun 14
55
(228,770)
 

28.  
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Symeonidis, Lazaros
Accounting and Finance Division - University of Stirling
Verlaat, Timo
Zeppelin University
Posted:
15 Jun 14
29
(293,063)
 

29.  
Füss, Roland
University of St. Gallen
Mahringer, Steffen
University of St.Gallen - Swiss Institute of Banking and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
15 Oct 14
26
(303,591)
 

30.  
Arismendi, J. C.
University of Reading - ICMA Centre
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Posted:
25 Aug 14
25
(307,388)
 

31.  
Risk Premia in Covered Bond Markets | Show Abstract |
Journal of Fixed Income, Vol. 22, No. 2, 2012
Accepted Paper Series
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Vonhoff, Volker
University of Mannheim - Department of Business Administration and Finance
Posted:
18 Jan 12
Last Revised:
02 Jan 13
 

32.  
Back, Janis
WHU - Otto Beisheim School of Management
Paschke, Raphael
University of Mannheim - Department of Business Administration and Finance
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Rudolf, Markus
WHU Otto Beisheim Graduate School of Management
Posted:
05 Jul 11
Last Revised:
28 Mar 13
 

33.  
Quantifying Risk in the Electricity Business: A RAROC-based Approach | Show Abstract |
Energy Economics, Vol. 29, No. 5, 2007
Accepted Paper Series
Rachev, Svetlozar
Stony Brook University
Prokopczuk, Marcel
University of Reading - Henley Business School - ICMA Centre
Schindlmayr, Gero
affiliation not provided to SSRN
Trueck, Stefan
Macquarie University Sydney - Department of Applied Finance and Actuarial Studies
Posted:
24 Oct 07
 


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